Identification of structural vector autoregressions through higher unconditional moments

DOI10.1016/j.jeconom.2020.10.006OpenAlexW3107384034MaRDI QIDQ2236880

Alain Guay

Publication date: 26 October 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/234814

zbMATH Keywords

skewnessrank teststructural vector autoregressionexcess kurtosisbootstrap procedureidentification condition

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (8)

Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions ⋮ Refining set-identification in VARs through independence ⋮ Locally robust inference for non-Gaussian linear simultaneous equations models ⋮ Dynamic deconvolution and identification of independent autoregressive sources ⋮ Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics ⋮ Generalized Covariance Estimator ⋮ Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks ⋮ Identification of structural VAR models via independent component analysis: a performance evaluation study

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